Millen was selected by the Pittsburgh Penguins in the sixth round (No. 102) of the 1977 NHL Draft and entered the League in 1978-79, going 14-11 with one tie and a 3.38 goals-against average. Two years later, he won 25 games and nearly led the Penguins to a first-round upset of the St. Louis Blues in the Stanley Cup Playoffs, losing the fifth and deciding game in double overtime.

The Hartford Whalers signed Millen as a free agent on June 15, 1981. He started more than 50 games in each of his first three seasons with Hartford but was traded to the Blues on Feb. 21, 1985.

Millen started 35 games in 1985-86 and helped St. Louis reach Game 7 of the Campbell Conference Final. He had his first winning season in 1987-88, going 21-19 with seven ties, then won 22 games and had a League-leading six shutouts in 1988-89. He was traded to the Quebec Nordiques on Dec. 13, 1989.

His time with Quebec didn't last long; Millen won three of 18 starts and was traded to the Chicago Blackhawks on March 5, 1990. He helped the Blackhawks reach the Campbell Conference Final in 1990, but Ed Belfour seized the starting job in 1990-91 and Millen played three games. He backed up Tim Cheveldae with the Detroit Red Wings in 1991-92 before retiring.

Millen finished 215-284-89 with a 3.88 GAA, .873 save percentage and 17 shutouts. In the playoffs, Millen was 27-29 with a 3.43 GAA and .885 save percentage.

He stayed in hockey after retiring, becoming a TV analyst on "Hockey Night in Canada" and with Sportsnet.